MS-Mo-D-54
Minisymposium Computational Finance - Part I of III
For Part II, see MS-Mo-E-54
For Part III, see MS-Tu-D-54

Date: August 10
Time: 13:30--15:30
Room: 1-2

(Note: Click title to show the abstract.)

Organizer:
Teng, Long (Bergische Universität Wuppertal)
Guenther, Michael (Bergische Universität Wuppertal)
Ehrhardt, Matthias (Univ. of Wuppertal)

Abstract: In recent years the variety and complexity of financial mathematics models has witnessed a tremendous growth. For the resulting computational complexity, advanced numerical techniques are imperative for the applications in financial industry.
The aim is to deeper understand complex financial models and to develop effective and robust numerical schemes for solving linear and nonlinear problems arising from the mathematical theory of pricing financial derivatives and related financial products. The motivation for this minisymposium is to exchange and discuss current insights and ideas, and to lay groundwork for future collaborations. Finally, it should serve as a kickoff for the special interest group (SIG) Computational Finance within ECMI (European Consortium for Mathematics in Industry).


MS-Mo-D-54-1
13:30--14:00
Rare event simulation using reversible shaking transformations
LIU, GANG (Ecole Polytechnique)
Gobet, Emmanuel (Ecole Polytechnique)


MS-Mo-D-54-2
14:00--14:30
High-order compact finite difference methods for parabolic problems with mixed derivative terms and applications in computational finance
During, Bertram (Univ. of Sussex)


MS-Mo-D-54-3
14:30--15:00
ADE Methods - Numerical analysis and application to linear and nonlinear Black-Scholes models
Buckova, Zuzana (Bergische Universität Wuppertal)
Ehrhardt, Matthias (Univ. of Wuppertal)
Guenther, Michael (Bergische Universität Wuppertal)


MS-Mo-D-54-4
15:00--15:30
An Accurate Simulation-based Approach to the Dynamic Portfolio Management Problem
Cong, Fei (TU Delft)
Oosterlee, Cornelis (CWI -center for mathematics & computer Sci.)

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Footnote:
Code: Type-Date-Time-Room No.
Type : IL=Invited Lecture, SL=Special Lectures, MS=Minisymposia, IM=Industrial Minisymposia, CP=Contributed Papers, PP=Posters
Date: Mo=Monday, Tu=Tuesday, We=Wednesday, Th=Thursday, Fr=Friday
Time : A=8:30-9:30, B=10:00-11:00, C=11:10-12:10, BC=10:00-12:10, D=13:30-15:30, E=16:00-18:00, F=19:00-20:00, G=12:10-13:30, H=15:30-16:00
Room No.: TBA